Overview | Data generating model | Local likelihood estimation of the dependence parameter | Copula Selection and Model Tuning | Sensitivity to the choice of copula family | References
Package: LocalCop 0.0.2
LocalCop: Local Likelihood Inference for Conditional Copula Models
Implements a local likelihood estimator for the dependence parameter in bivariate conditional copula models. Copula family and local likelihood bandwidth parameters are selected by leave-one-out cross-validation. The models are implemented in 'TMB', meaning that the local score function is efficiently calculated via automated differentiation (AD), such that quasi-Newton algorithms may be used for parameter estimation.
Authors:
LocalCop_0.0.2.tar.gz
LocalCop_0.0.2.zip(r-4.7)LocalCop_0.0.2.zip(r-4.6)LocalCop_0.0.2.zip(r-4.5)
LocalCop_0.0.2.tgz(r-4.6-x86_64)LocalCop_0.0.2.tgz(r-4.6-arm64)LocalCop_0.0.2.tgz(r-4.5-x86_64)LocalCop_0.0.2.tgz(r-4.5-arm64)
LocalCop_0.0.2.tar.gz(r-4.7-arm64)LocalCop_0.0.2.tar.gz(r-4.7-x86_64)LocalCop_0.0.2.tar.gz(r-4.6-arm64)LocalCop_0.0.2.tar.gz(r-4.6-x86_64)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
LocalCop/json (API)
| # Install 'LocalCop' in R: |
| install.packages('LocalCop', repos = c('https://mlysy.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/mlysy/localcop/issues
Pkgdown/docs site:https://mlysy.github.io
Last updated from:2d815a13ea. Checks:12 OK, 1 FAIL. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-arm64 | OK | 185 | ||
| linux-devel-x86_64 | OK | 188 | ||
| source / vignettes | OK | 343 | ||
| linux-release-arm64 | OK | 187 | ||
| linux-release-x86_64 | OK | 234 | ||
| macos-release-arm64 | OK | 171 | ||
| macos-release-x86_64 | OK | 289 | ||
| macos-oldrel-arm64 | OK | 127 | ||
| macos-oldrel-x86_64 | OK | 253 | ||
| windows-devel | OK | 158 | ||
| windows-release | OK | 168 | ||
| windows-oldrel | OK | 217 | ||
| wasm-release | FAIL | 147 |
Exports:BiCopEta2ParBiCopEta2TauBiCopPar2EtaBiCopTau2EtaCondiCopLikCVCondiCopLocFitCondiCopLocFunCondiCopSelectKernBetaKernBiQuadKernEpaKernGausKernTriAngKernWeight
Dependencies:ADGofTestlatticeMASSMatrixmvtnormRcppRcppEigenTMBVineCopula
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Local likelihood inference for conditional copula models. | LocalCop-package LocalCop |
| Cross-validated likelihood. | CondiCopLikCV |
| Local likelihood estimation. | CondiCopLocFit |
| Create a 'TMB' local likelihood function. | CondiCopLocFun |
| Local likelihood bandwidth and/or family selection. | CondiCopSelect |
| Conversions between various bivariate copula parametrizations. | BiCopEta2Par BiCopEta2Tau BiCopPar2Eta BiCopTau2Eta ConvertPar |
| Local likelihood kernel functions. | KernBeta KernBiQuad KernEpa KernFun KernGaus KernTriAng |
| Calculate local likelihood kernel weights. | KernWeight |
